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Hi David On Page 114, in the notes, the formula (in blue) for Adjusted exposure would require a small correction. It should be AE = OS + (UGD% * Unused Commitment) Could you clarify.

Ok great That clarifies. I was just going through the derivation. I understood the end result. But since there was some difference wanted to clarify. Thanks.

The other post long call P/O= max(S-X,0) short call P/O= premium-max(S-X,0)=premium-long call P/O...A from A, vol(short call)=-vol(long call)...1 also from A above, delta(short call P/O)=-delta(long call P/O)...2 1 => Value*vol(short call)=- Value*vol(long call)....3 Multiply 2 and 3 =>...

Yes, I was seeing the schedule - "Coming Soon". Will wait. Thanks a lot.

Hi Daivd/ Suzanne Could you please let us know if Gujarati is available now.

GARP needs to emulate CFA institute and come out more mature.

With David's equating method also, I am able to arrive at the 8.08%. Thanks Shakthi. Very timely help. This clears the air.

Thanks David. This confirms. I do not have access to the XLS. However, I solved for the qtr compounding based on the above formula and get a rate of 4.969. Could you please correct.

A small correction - we need to multiply with 6 or 12 as the case may be - 1.05^(1/6)-1*6. This would give the rate = 4.88 Please correct me, if I am wrong. I thought i was quite clear until a while. I am thoroughly confused. Please help

In a similar manner, if 5 % is the semi annual rate, what is the Monthly compounding rate. I am a bit confused. Could you please assist. If I use your formula - I am getting 1.67%. Could you please correct me. To a similar question, the quarterly compounding rate is 14%. What is the the annual...

What is a quarterly rate of 8.00% converted into its bond-equivalent (semi-annual) rate? Answer: we can take the long way and find the continuous equivalent, which is equal to LN(1.02)*4 = 7.92105%. Then convert that to the semi-annual rate, which is equal to [EXP(7.92105%/2) – 1]*2 = 8.080%...

1) Calculating VaR of Options - Using the taylor series approx. appeared in your practice questions. I was under the assumption that it is a likely testable concept. 2)As per your notes, it is clear that the delta gamma approximation vs the Full revaluation methods (eg. SMC etc) have also been...

Hi David. Thanks.

Hi All I have uploaded the file below. THis is for you to help in calculation of the Equivalent Periodic Return. Shakthi, do let me know if can provide me the formula for the column, Equivalent Periodic Return. Thanks

Sorry Got it.

Hi Could you please make sure that this link is working ??

Could you please correct me on this. (110.25/100^0.5)ln *2 = 9.758 %

Hi David On Page 58 of Study note - 2012 T4 Valuation. Could you please help with the formula for the column Equivalent Periodic Return. I am not able to get the rate that you have solved for. Thanks

Also Could you please help me understand the formula that you quoted from Jorion, for the z value ?

... even without a calculator, armed only with cursory knowledge of the standard normal [since N(2.33) = 99%, such that two-tailed Z +/- 2.33 occupies 98%] we can eyeball that the question is asking for +/- 2.5 standard deviations and so the answer must be (approximately) greater than 98%...